{
  "id": "0912.1515",
  "version": "v3",
  "published": "2009-12-08T14:58:23.000Z",
  "updated": "2012-10-20T12:08:20.000Z",
  "title": "Local time and Tanaka formula for G-Brownian Motion",
  "authors": [
    "Qian Lin"
  ],
  "comment": "29 pages, \"Finance and Insurance-Stochastic Analysis and Practical Methods\", Jena, March 06,2009",
  "journal": "Journal of Mathematical Analysis and Applications 398 (2013) 315-334",
  "doi": "10.1016/j.jmaa.2012.09.001",
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper, we study the notion of local time and Tanaka formula for the G-Brownian motion. Moreover, the joint continuity of the local time of the G-Brownian motion is obtained and its quadratic variation is proven. As an application, we generalize It^o's formula with respect to the G-Brownian motion to convex functions.",
  "revisions": [
    {
      "version": "v3",
      "updated": "2012-10-20T12:08:20.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60H05",
      "60H30"
    ],
    "keywords": [
      "g-brownian motion",
      "local time",
      "tanaka formula",
      "joint continuity",
      "quadratic variation"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 29,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2009arXiv0912.1515L"
    }
  }
}